Pairs Trading in the Land Down Under

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.6K citations

Engineering, Price Behavior, Financial Mathematics +16

Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Evan Gatev, William N. Goetzmann, K. Geert Rouwenhorst · Review of Financial Studies · 2006 · 786 citations

Risk-Adjusted Performance

Franco Modigliani, Leah Modigliani · The Journal of Portfolio Management · 1997 · 566 citations

Economics, Franco Modigliani 1, U.s. Investment Strategist +8

Pairs trading

Robert J. Elliott, John van der Hoek, W.P. Malcolm · Quantitative Finance · 2005 · 295 citations

Does Simple Pairs Trading Still Work?

Binh Do, Robert W. Faff · Financial Analysts Journal · 2010 · 223 citations

Market Microstructure, High-frequency Trading, Trade +13